摘要
本文建立了一个动态的企业投资决策模型,基于模型的一阶条件(欧拉方程),利用非线性GMM方法估计模型参数。在此基础上,通过分解拉格朗日乘子(反映企业融资约束影子价格)构建出符合中国企业特征的融资约束经验指标。基于该指标,本文进一步研究了企业特征与融资约束的关系,以及融资约束对企业投资和股票收益率的影响。结果发现,规模大、成长性高、资金充裕、负债水平低的企业面临较小的融资约束,国有企业较私营企业有较低的融资约束,但该结果在统计上不显著。融资约束不仅对企业投资有显著的负向影响,更重要的是,企业较高的融资约束使股票具有较高的风险和较高的收益,这一结果为解释股票横截面收益率的差异提供了新的视角。
We set up a dynamic investment model and estimate the parameters based on first order condition （Euler equation）via nonlinear GMM. By decomposing the Lagrange multiplier （which can be interpreted as the shadow price of financial constraint）, we construct an index of firms＇ external financial constraint according to China＇s firm level data. Based on this index, we investigate the relation between firms＇ characteristics and financial constraint, as well as the impact of financial constraint on firms＇ investment and equity premium. The empirical results show that finns with large asset, high growth rate, plentiful fund and low debt ratio tend to be less constrained. State-owned firms face lower constraint but the result is not significant. Furthermore, financial constraint not only restricts finns＇ investment but also earns a positive risk and a high risk premium. Such finding suggests that financial constraint is helpful to explain the cross sectional variations in stock retum.
出处
《南开经济研究》
CSSCI
北大核心
2014年第5期54-71,共18页
Nankai Economic Studies
关键词
融资约束
资产风险
股票收益率
Financial Constraint
Risk of Asset
Stock Return
